MCP For Claude Marketplace
Roll Yield Strategy Engine

Roll Yield Strategy Engine MCP Connector for Claude

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A deterministic signal engine for capturing returns from futures curve structures.

3 tools Official Updated Oct 1, 2026 Official Vinkius Partner
More Details Connect to Claude

This MCP server provides advanced tools to identify profitable roll yield opportunities in futures markets. By analyzing the relationship between front-month and second-month contracts, it identifies market regimes like contango and backwardation. Use calculate_roll_signals to generate daily BUY/SELL/HOLD signals based on roll yield thresholds and trend confirmation. Use analyze_roll_economics to calculate expected roll returns and costs, or get_curve_status for a quick snapshot of the current market structure.

futuresroll-yieldcontangobackwardationtrading-signals

3 tools expose this connector's capabilities to your AI agent.

analyze_roll_economics

Calculates the theoretical profit/loss metrics associated with the current curve structure

calculate_roll_signals

Generates daily trading signals based on curve structure, roll yield thresholds, and trend confirmation

get_curve_status

Provides a snapshot of the current market structure and yield

See how to talk to your AI agent using Roll Yield Strategy Engine.

Generate trading signals for the current futures curve.

The current signal is BUY. The market is in strong backwardation with a roll yield of -2.5%, and the front-month price is above its 20-day MA.

What is the current market structure and yield?

The market is currently in contango with an annualized roll yield of 1.5%.

Calculate the expected economics for this roll.

The expected roll return is 0.45% with a projected roll cost of 0.12% due to the current contango structure.

Signals are generated using `calculate_roll_signals`, which evaluates roll yield, curve structure, and 20-day moving average trends while enforcing liquidity filters.

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